Factors such as high unemployment, the depressed housing market, the financial turmoil in Greece, and even the uncertainty in the CDS derivative market, are all cause for playing defense, Joe Dear, the CIO of Calpers, said in an interview on CNBC Thursday.

Dear said Calpers, the largest public-pension fund in the U.S, is also taking on a bigger role in managing its own investments.

Investing Amid Global Turmoil

CNBC's Gary Kaminsky looks at weakenss in European financial stocks; and insight on taking a long term approach to investing, with Joe Dear, CalPERS CIO.

"We are pulling that management in-house so we control the credit and the assets that we used for our cash position," Dear said. If Greece does default, "it's likely to be bad, so you don't want to be stuck with sovereign securities that may be impaired."

The recent drop in the market is due to a recalibration of growth expectations, "and that has a depressing effect," he added.

While many states are uncertain of their ability to fund their pension funds going forward, Dear said both California and Calpers haven't taken holidays on contributions. He still puts the fund's target return rate at 7.75 percent.

"We have been able to do that for 20 years, and will be able to do that for 20 years into the future," Dear said. But probably not with fixed income and equities alone, he said. "We can go global, we can go to liquid asset classes, and do a better job of risk management."

As a fund's rate of return partly depends on the fees it has to pay, Calpers has also been working on renegotiating private-equity fees and has had success driving down costs with hedge-fund partners.